Random shifts which preserve measure

Author:

Geman Donald,Horowitz Joseph

Abstract

Given a flow θ g , g G {\theta _g},g \in G a group, over a probability space ( Ω , F , P ) (\Omega ,\mathfrak {F},P) and a G G -valued random variable Z Z , we exhibit the Lebesgue decomposition of the measure P θ Z 1 P \circ \theta _Z^{ - 1} relative to P P , and give necessary and sufficient conditions for equality ( P θ Z 1 = P ) (P \circ \theta _Z^{ - 1} = P) , absolute continuity ( P θ Z 1 P ) (P \circ \theta _Z^{ - 1} \ll P) , and singularity ( P θ Z 1 P ) (P \circ \theta _Z^{ - 1} \bot P) in terms of the Haar measure. The proof rests on the theory of “Palm measures” as developed by Mecke and the authors. Specializing the group G G , we retrieve some known results for the integers and real line, and compute the Radon-Nikodým derivatives in various cases.

Publisher

American Mathematical Society (AMS)

Subject

Applied Mathematics,General Mathematics

Reference8 articles.

1. Random shifts of stationary processes;Dinges, Hermann,1967

2. Die Grundlehren der mathematischen Wissenschaften, Band 153;Federer, Herbert,1969

3. Occupation times for smooth stationary processes;Geman, D.;Ann. Probability,1973

4. Remarks on Palm measures;Geman, Donald;Ann. Inst. H. Poincar\'{e} Sect. B (N.S.),1973

5. Stationäre zufällige Masse auf lokalkompakten Abelschen Gruppen;Mecke, J.;Z. Wahrscheinlichkeitstheorie und Verw. Gebiete,1967

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